SI 2015 Forecasting & Empirical Methods
Jonathan H. Wright and Allan Timmermann, Organizers
July 7-10, 2015
Royal Sonesta Hotel
| Tuesday, July 7 | ||
| 8:30 am | ||
| 8:30 am |
Guillaume Chevillon, ESSEC Business School Sophocles Mavroeidis, University of Oxford Zhaoguo Zhan, Tsinghua University Robust Inference in Structural VARs with Long-run Restrictions |
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| 9:15 am | ||
| 9:15 am |
Domenico Giannone, Johns Hopkins University Priors for the long run |
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| 10:30 am | ||
| 10:30 am |
Gianni Amisano, European Central Bank Oreste Tristani, European Central Bank Monetary Policy and Long-term Interest Rates |
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| 11:15 am | ||
| 11:15 am |
Marcelo Medeiros, University of Illinois Urbana-Champaign Eduardo F. Mendes, University of New South Wales L1-Regularization of High Dimensional Time Series Models with Flexible Innovations |
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| Wednesday, July 8 | ||
| 8:30 am | ||
| 8:30 am |
Francis X. Diebold, University of Pennsylvania and NBER Frank Schorfheide, University of Pennsylvania and NBER Minchul Shin, Federal Reserve Bank of Philadelphia Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
|
| 9:15 am |
Andrew Patton, Duke University Evaluating and Comparing Possibly Misspecified Forecasts |
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| 10:30 am | ||
| 10:30 am |
Philipp Hartmann, European Central Bank Kirstin Hubrich, Austrian Central Bank, Deutsche Bundesbank (as of July 1) Manfred Kremer, University of Bonn Robert Tetlow, Federal Reserve Board of Governors Melting Down: Systemic Financial Instability and the Macroeconomy |
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| 11:15 am | ||
| 11:15 am |
Daniele Bianchi, Queen Mary University of London Monica Billio, Ca’ Foscari University of Venice Roberto Casarin, Ca’ Foscari University of Venice Massimo Guidolin, Bocconi University Modeling Contagion and Systemic Risk |
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| Thursday, July 9 | ||
| 8:30 am |
Michael D. Bauer, Federal Reserve Bank of San Francisco James D. Hamilton, University of California, San Diego and NBER Robust Bond Risk Premia |
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| 9:15 am | ||
| 9:15 am |
Drew D. Creal, University of Illinois Jing Cynthia Wu, University of Illinois Urbana-Champaign and NBER Bond Risk Premia in Consumption Based Models |
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| 10:30 am | ||
| 10:30 am |
Tobias Adrian, International Monetary Fund Richard Crump, Federal Reserve Bank of New York Erik Vogt, Federal Reserve Bank of New York Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds |
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| 11:15 am | ||
| 11:15 am |
Elmar Mertens, European Central Bank James Nason, North Carolina State University Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility |
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| Friday, July 10 | ||
| 8:30 am | ||
| 8:30 am |
Ralph Koijen, University of Chicago and NBER Motohiro Yogo, Princeton University and NBER An Equilibrium Model of Institutional Demand and Asset Prices |
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| 9:15 am |
Mohammad Pesaran, University of Southern California Raman Uppal, EDHEC Business School Paolo Zaffaroni, Imperial College London Portfolio Choice under the APT with Model Misspecification |
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| 10:30 am | ||
| 10:30 am |
Viktor Todorov, Northwestern University George Tauchen, Duke University Jump Regressions |
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| 11:15 am | ||
| 11:15 am |
Prosper Dovonon, Concordia University Nour Meddahi, Toulouse School of Economics Bootstrapping High-Frequency Jump Tests |
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